Call auction, continuous trading and closing price formation. Issue 6 (3rd June 2021)
- Record Type:
- Journal Article
- Title:
- Call auction, continuous trading and closing price formation. Issue 6 (3rd June 2021)
- Main Title:
- Call auction, continuous trading and closing price formation
- Authors:
- Li, Jiayi
Luo, Sumei
Zhou, Guangyou - Abstract:
- Abstract : The Shanghai Stock Exchange changed its trading mechanism of the preceding three minutes to closing from continuous trading to call auction on August 20, 2018, while Shenzhen had already changed this in 2006. Taking all A-shared stocks' data from 2017 to 2019 as our sample, we construct difference-in-difference models and find significant trading volume shifts from closing call to preceding continuous trading. We also see a significant increase in volatility in call preceding continuous trading, but a significant decrease in closing price deviation in a closing call. Market efficiency is found to be improved by these changes, perhaps due to less liquidity noise in the closing price. Our conclusions remain robust in various robustness checks. It suggests that the introduction of closing call auction would reduce manipulation and liquidity noise in the closing price, thus improving market efficiency in China.
- Is Part Of:
- Quantitative finance. Volume 21:Issue 6(2021)
- Journal:
- Quantitative finance
- Issue:
- Volume 21:Issue 6(2021)
- Issue Display:
- Volume 21, Issue 6 (2021)
- Year:
- 2021
- Volume:
- 21
- Issue:
- 6
- Issue Sort Value:
- 2021-0021-0006-0000
- Page Start:
- 1037
- Page End:
- 1065
- Publication Date:
- 2021-06-03
- Subjects:
- Call auction -- Continuous trading -- Financial markets microstructure -- Natural experiment
Finance -- Periodicals
Business mathematics -- Periodicals
Finance -- Mathematical models -- Periodicals
Investments -- Mathematics -- Periodicals
Economics -- Periodicals
Finances -- Modèles mathématiques -- Périodiques
332.015118 - Journal URLs:
- http://www.tandfonline.com/toc/rquf20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/14697688.2020.1849782 ↗
- Languages:
- English
- ISSNs:
- 1469-7688
- Deposit Type:
- Legaldeposit
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- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 7168.333200
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- 16789.xml